US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR JUL 12

EST IMPLIED VOLATILITY/AVG ATM OPTIONS VIA BLOOMBERG, (All Times ET)

            USQ    USU     TYQ    TYU     FVQ    FVU     EDN     EDU

1330       6.80%  6.94%   3.67%  3.85%   2.47%  2.64%    N/A    20.89%

1200       6.93%  6.86%   3.72%  3.87%   2.52%  2.63%    N/A    20.90%

1000       7.07%  6.95%   3.75%  3.91%   2.56%  2.65%    N/A    21.00%

FRI OPEN   7.08%  6.95%   3.84%  3.95%   2.68%  2.73%    N/A    20.69%

THU 1500   6.96%  7.05%   3.80%  3.96%   2.65%  2.73%    N/A    23.55%

THU OPEN   6.64%  6.71%   3.70%  3.85%   2.61%  2.65%    N/A    25.00%

WED 1500   6.95%  6.82%   3.84%  3.92%   2.77%  2.69%   41.65%  22.25%

WED OPEN   7.25%  7.12%   4.11%  4.05%   2.99%  2.84%   43.30%  23.90%

TUE 1500   6.87%  6.95%   3.86%  3.92%   2.81%  2.77%   42.30%  24.60%

TUE OPEN   6.98%  7.01%   4.00%  3.99%   2.90%  2.83%   37.30%  24.75%

MON 1500   6.82%  6.93%   3.86%  3.99%   2.74%  2.77%   35.30%  24.70%

MON OPEN   6.84%  6.90%   3.86%  3.98%   2.75%  2.74%   36.00%  24.80%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

AUG19 10Y NOTE  133.00 C  109,649     UNCH   126.00 P  121,453   -5,819

SEP19 10Y NOTE  130.00 C   90,518   +8,997   121.00 P  123,668     -200

AUG19 5Y NOTE   118.50 C   51,911   -1,057   113.25 P  127,080     UNCH

SEP19 5Y NOTE   119.00 C   49,923   +6,436   106.50 P   80,409     UNCH

AUG19 2Y NOTE   107.62 C    6,143      +10   105.50 P   50,500     UNCH

SEP19 2Y NOTE   108.25 C    9,475     UNCH   107.00 P   30,553   +2.350

JUL19 EURODLR    98.00 C  169,156  -13,435    97.75 P  193,348     UNCH

SEP19 EURODLR    98.25 C  755,437     UNCH    97.50 P  620,983  -19,375

SEP20 1Y-MIDC    98.12 C  142,844     UNCH    97.75 P  167,236   +1,121

SEP21 2Y-MIDC    98.12 C   96,800     UNCH    97.12 P   74,826     UNCH

SEP22 3Y-MIDC    98.00 C  125,432     UNCH    98.00 P   51,237   +8,492

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

AUG19 10Y NOTE  127.00 C   51,421   -3,519   127.00 P   68,069   -2,551

AUG19 10Y NOTE  127.50 C   54,106   -1,245   127.50 P   35,091     -412

SEP19 10Y NOTE  127.00 C   28,615     -871   127.00 P   86,581   -5,422

SEP19 10Y NOTE  127.50 C   32,572   +1,907   127.50 P   45,389   +1,514

AUG19 5Y NOTE   117.50 C   11,794     +220   117.50 P   32,483   -6,898

AUG19 5Y NOTE   117.75 C   23,850      -29   117.75 P   48,318     +520

SEP19 5Y NOTE   117.50 C   18,342   +1,632   117.50 P   68,337     -829

SEP19 5Y NOTE   117.75 C   18,471     -200   117.75 P   37,595     -684

AUG19 2Y NOTE   107.25 C    3,967     +604   107.25 P   13,406   -5,297

AUG19 2Y NOTE   107.38 C    2,688      +82   107.38 P    9,277     UNCH

SEP19 2Y NOTE   107.25 C    4,303      +10   107.25 P    2,977     UNCH

SEP19 2Y NOTE   107.38 C    4,151   +2,462   107.38 P    9,749   +3,029

JUL19 EURODLR    97.87 C  118,324  -14,295    97.87 P  122,099   +1,565

JUL19 EURODLR    98.00 C  169,156  -13,435    98.00 P   75,435   +1,000

SEP19 EURODLR    97.87 C  497,997     -150    97.87 P  232,849  +40,355

SEP19 EURODLR    98.00 C  408,858   +1,012    98.00 P   61,888   +3,500

SEP20 1Y-MIDC    98.25 C   94,391     UNCH    98.25 P   56,736     UNCH

SEP20 1Y-MIDC    98.37 C   84,238      +81    98.37 P   44,776     -825

SEP21 2Y-MIDC    98.25 C   41,231       +1    98.25 P   16,404     +853

SEP21 2Y-MIDC    98.37 C   55,527     +575    98.37 P   16,751     +475

SEP22 3Y-MIDC    98.25 C   72,307     UNCH    98.25 P   15,916     UNCH

SEP22 3Y-MIDC    98.37 C    6,975     UNCH    98.37 P    1,150     UNCH

PUT/CALL RATIO FOR VOLUME CLEARED:

AUG19 10Y NOTE PUT/CALL RATIO   -- 1.83 (220,827 PUTS VS. 120,654 CALLS)

SEP19 10Y NOTE PUT/CALL RATIO   -- 2.61 (117,848 PUTS VS. 45,681 CALLS)

AUG19 5Y NOTE PUT/CALL RATIO    -- 0.99 (42,381 PUTS VS. 42,826 CALLS)

SEP19 5Y NOTE PUT/CALL RATIO    -- 0.71 (47,747 PUTS VS. 66,625 CALLS)

AUG19 2Y NOTE PUT/CALL RATIO    -- 13.7 (21,814 PUTS VS. 1,310 CALLS)

SEP19 2Y NOTE PUT/CALL RATIO    -- 3.51 (14,781 PUTS VS. 4,297 CALLS)

JUL19 EURODLRS PUT/CALL RATIO   -- 0.27 (12,525 PUTS VS. 44,850 CALLS)

SEP19 EURODLRS PUT/CALL RATIO   -- 7.93 (204,868 PUTS VS. 25,886 CALLS)

JUN20 1Y-MIDCRVE PUT/CALL RATIO -- 1.83 (6,600 PUTS VS. 3,620 CALLS)

JUN21 2Y-MIDCRVE PUT/CALL RATIO -- 0.44 (4,154 PUTS VS. 9,343 CALLS)

JUN22 3Y-MIDCRVE PUT/CALL RATIO -- 0.00 (14,500 PUTS VS. 0 CALLS)

(VOLUME, OPEN INTEREST, RATIOS ALL REFLECT PRIOR SESSION'S DATA)

Swaption BP/Vol Via Bloomberg:

Time (ET)   3M/2Y   1M/10Y    3M/5Y   3M/10Y    2Y/10Y    5Y/5Y

1330        67.33    61.75    67.36    61.75    60.82     62.43

1200        69.14    61.89    67.39    61.64    60.86     62.46

1000        69.08    62.34    67.69    61.67    60.65     62.43

Fri Open    69.23    62.13    67.44    61.70    60.53     62.43

Thu 1500    70.21    61.30    68.21    62.09    60.49     62.28

Thu Open    70.02    60.76    67.76    61.28    60.21     62.42

Wed 1500    71.34    61.00    68.30    61.69    60.55     62.66

Wed Open    72.94    63.02    69.40    62.34    60.90     63.60

Tue 1500    73.22    63.73    69.44    62.34    60.78     63.53

Tue Open    73.29    64.17    69.62    62.78    60.82     63.61

Mon 1500    73.05    63.94    69.56    62.66    60.55     63.50

Mon Open    73.56    62.67    69.78    62.84    60.85     63.74

--MNI Chicago Bureau; tel: +1 312-431-0089; email: bill.sokolis@marketnews.com

[TOPICS: MTABLE,M$U$$$,M$$FI$,MN$FI$]